6.7 Measuring strength of trend and seasonality

A time series decomposition can be used to measure the strength of trend and seasonality in a time series (Wang, Smith, and Hyndman 2006). Recall that the decomposition is written as \[ y_t = T_t + S_{t} + R_t, \] where \(T_t\) is the smoothed trend component, \(S_{t}\) is the seasonal component and \(R_t\) is a remainder component. For strongly trended data, the seasonally adjusted data should have much more variation than the remainder component. Therefore Var\((R_t)\)/Var\((T_t+R_t)\) should be relatively small. But for data with little or no trend, the two variances should be approximately the same. So we define the strength of trend as: \[ F_T = \max\left(0, 1 - \frac{\text{Var}(R_t)}{\text{Var}(T_t+R_t)}\right). \] This will give a measure of the strength of the trend between 0 and 1. Because the variance of the remainder might occasionally be even larger than the variance of the seasonally adjusted data, we set the minimal possible value of \(F_T\) equal to zero.

The strength of seasonality is defined similarly, but with respect to the detrended data rather than the seasonally adjusted data: \[ F_S = \max\left(0, 1 - \frac{\text{Var}(R_t)}{\text{Var}(S_{t}+R_t)}\right). \] A series with seasonal strength \(F_S\) close to 0 exhibits almost no seasonality, while a series with strong seasonality will have \(F_S\) close to 1 because Var\((R_t)\) will be much smaller than Var\((S_{t}+R_t)\).

These measures can be useful, for example, when there you have a large collection of time series, and you need to find the series with the most trend or the most seasonality.


Wang, Xiaozhe, Kate A. Smith, and Rob J. Hyndman. 2006. “Characteristic-Based Clustering for Time Series Data.” Data Mining and Knowledge Discovery 13 (3):335–64.